Sorry, let me DOS that for you, looks like Control-C won't break out of the sleep the same way on windows.

C:\PERL\bin>perl -le"$SIG{INT}=sub{print 'cleanup';exit 0}; while(1){s
+leep 1};  END{print 'goodbye'}"
# here I hit Control-C
cleanup
goodbye
[download]

Update

Now we are a bit more than a one liner we may as well write a proper script. As tirwhan points out it is dangerous to do much in the signal handler. Best just to set a flag that tells your loop to exit.

#!/usr/bin/perl
use strict;
use warnings;

my $killed=0;

$SIG{INT}=sub{$killed++};

while (1) {
    # this may take some time
    sleep 1;
    last if $killed;
}
if ($killed) {
    print "cleaning up after getting a sig int\n"
}else{
    print "finished infinite loop, halting problem next\n"
}
[download]

Cheers,
R.